Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0006 |
| Annualized Std Dev | 0.1683 |
| Annualized Sharpe (Rf=0%) | -0.0037 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4590.0000 |
| NAs | 1.0000 |
| Minimum | -0.1771 |
| Quartile 1 | -0.0036 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1979 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0106 |
| Skewness | -0.7974 |
| Kurtosis | 70.3710 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0078 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0125 |
| Downside Deviation (Rf=0%) | 0.0078 |
| Downside Deviation (0%) | 0.0078 |
| Maximum Drawdown | 0.5335 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0245 |
| Modified VaR (95%) | -0.0046 |
| Modified ES (95%) | -0.0046 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-09-09 | 2008-10-10 | 2012-06-27 | -0.5335 | 1712 | 777 | 935 |
| 2012-10-02 | 2020-03-18 | NA | -0.4177 | 2130 | 1876 | NA |
| 2003-06-25 | 2004-05-20 | 2005-06-08 | -0.1505 | 493 | 229 | 264 |
| 2002-12-30 | 2003-02-21 | 2003-06-24 | -0.0944 | 122 | 37 | 85 |
| 2005-07-15 | 2005-07-29 | 2005-08-23 | -0.0480 | 28 | 11 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | NA |
| 2003 | -0.8 | 0.5 | 0.8 | 1.4 | 0.3 | -0.3 | 1.4 | -0.7 | 0.5 | 0.4 | 1.5 | 0.7 | 5.8 |
| 2004 | 0.7 | 0 | -0.4 | 0.6 | -1.1 | 0.6 | 0.4 | 1 | 0.1 | 0 | -0.4 | 0.1 | 1.6 |
| 2005 | -0.7 | 0.7 | -0.5 | 1 | -0.1 | -0.1 | 0.1 | 0.1 | -0.4 | -0.3 | 0.8 | 0.8 | 1.5 |
| 2006 | -1.6 | -0.8 | 0.5 | 0.9 | 1.3 | 0.3 | 0.3 | -0.2 | -0.5 | 0.1 | 0.3 | -0.3 | 0.4 |
| 2007 | -0.3 | 0.1 | 0.1 | 0.3 | 0.1 | 0.3 | -1 | 0.1 | 0.1 | -1.2 | 3.6 | 0.1 | 2.2 |
| 2008 | -0.1 | -0.5 | 0.2 | -0.5 | -0.5 | -0.1 | 1.2 | -0.2 | 6.9 | -1.1 | 0 | 0.1 | 5.5 |
| 2009 | 1.4 | 0.9 | 1 | 0.9 | 0.2 | 0.5 | -1.3 | 5.1 | 0.8 | -3.4 | 0.2 | 0.1 | 6.5 |
| 2010 | 0.7 | 0.3 | 0 | 0.5 | 0.1 | 0.3 | -0.5 | 0.3 | -0.2 | 0.3 | -0.2 | 1.3 | 3 |
| 2011 | 0.3 | -0.2 | 0.3 | -0.7 | 0 | -0.3 | 1.7 | 0.7 | 0.2 | 0.3 | 0.9 | 0.4 | 3.7 |
| 2012 | 0.4 | 0.9 | 1.5 | -0.1 | -0.2 | -0.1 | -0.4 | 1.1 | 1.4 | -0.3 | 0.4 | 0.3 | 5.1 |
| 2013 | -0.1 | 0.1 | 0.1 | -0.4 | -1.1 | 0.3 | -1.9 | 1 | -0.7 | -1.2 | 0.2 | -0.3 | -4.1 |
| 2014 | -0.3 | -1.1 | -0.6 | 0.1 | 0.3 | -0.9 | -0.4 | 0.1 | 0.1 | 0.8 | 0.2 | 0.6 | -1.2 |
| 2015 | 0.5 | 0.7 | -0.9 | -0.3 | 0.3 | 0 | 0.5 | 0.2 | 0.4 | 0.3 | -0.3 | 0.3 | 1.9 |
| 2016 | -0.2 | -0.4 | -0.1 | -0.2 | 0.9 | 0.1 | 0.8 | -0.2 | -0.2 | 0.1 | -0.8 | 0.3 | 0.1 |
| 2017 | 0.1 | -0.3 | 0 | 0.2 | 0.7 | 0.4 | 0.7 | -0.2 | 0.3 | 0.8 | -0.1 | -0.1 | 2.7 |
| 2018 | -0.3 | -0.3 | -0.1 | 0.2 | 0.2 | -0.5 | -1 | 0.7 | 0 | 0.4 | 0.4 | 0.6 | 0.3 |
| 2019 | 0.1 | -0.1 | 0.1 | 0.4 | 0.4 | -0.1 | 0.8 | 0.5 | 0 | 0.3 | 0.3 | 0.5 | 3.3 |
| 2020 | 0.6 | -1.9 | -3.8 | 0.8 | 0.7 | 0.5 | 0.3 | -0.1 | 0 | -0.1 | 0.3 | 0.3 | -2.5 |
| 2021 | -0.1 | -0.4 | 1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-12-20 15 SPY 90.0 1.42e-2 0.0122 -0.021 0.0809 -0.211 -0.364 NA <NA> NA NA NA
2 2002-12-23 15 SPY 90.0 3.00e-4 -0.0178 -0.0433 0.0937 -0.217 -0.369 NA <NA> NA NA NA
3 2002-12-24 15 SPY 89.4 -7.40e-3 -0.0165 -0.0435 0.0593 -0.221 -0.369 NA <NA> NA NA NA
4 2002-12-26 15 SPY 89.4 4.00e-4 -0.0046 -0.0438 0.0427 -0.225 -0.378 NA <NA> NA NA NA
5 2002-12-27 15.0 SPY 87.4 -2.25e-2 -0.02 -0.0471 0.056 -0.247 -0.394 NA <NA> NA NA NA
6 2002-12-30 15 SPY 88.1 8.40e-3 -0.0209 -0.0654 0.0773 -0.240 -0.398 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
